Yes, constant voltage transformers (CVTs) run hot by design. It's a very simple circuit, that uses a ferro resonant tank circuit, and intentionally drives the transformer core into saturation. They've been around for many decades and are still being made and used. Here's a link to a commercial site that explains their operation:
http://www.purevoltindia.com/constan...ansformer.html
Even though the ColorVolt has an automatic on/off sensor and relay, I still unplug it when not in use.